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st: event study with Fama/French factors
From
Schöler, Lisa <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: event study with Fama/French factors
Date
Fri, 13 Aug 2010 11:44:59 +0000
Dear Statalist,
I want to run an event study with stata using the Fama/French three factor model to predict the expected return. I am not sure if the following comands are correct for the expected return:
***ESTIMATING NORMAL PERFORMANCE***
set more off /* this command just keeps stata from pausing after each screen of output */
gen predicted_return=.
egen id=group(group_id)
/* for multiple event dates, use: egen id = group(group_id) */
forvalues i=1(1)219 { /*note: replace N with the highest value of id */
l id group_id if id==`i' & dif==0
reg ret market_return_minus_risk_free smb hml if id==`i' & estimation_window==1
predict p if id==`i'
replace predicted_return = p if id==`i' & event_window==1
drop p
}
Can anybody tell me if this is correct or if missed something?
Best
Lisa
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